| Close | |
|---|---|
| Annualized Return | 0.0920 |
| Annualized Std Dev | 0.3244 |
| Annualized Sharpe (Rf=0%) | 0.2837 |
| Close | |
|---|---|
| Observations | 4951.0000 |
| NAs | 1.0000 |
| Minimum | -0.1523 |
| Quartile 1 | -0.0097 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0006 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0111 |
| Maximum | 0.1172 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0004 |
| Stdev | 0.0204 |
| Skewness | 0.0338 |
| Kurtosis | 3.6417 |
| Close | |
|---|---|
| Semi Deviation | 0.0145 |
| Gain Deviation | 0.0143 |
| Loss Deviation | 0.0144 |
| Downside Deviation (MAR=210%) | 0.0189 |
| Downside Deviation (Rf=0%) | 0.0142 |
| Downside Deviation (0%) | 0.0142 |
| Maximum Drawdown | 0.7050 |
| Historical VaR (95%) | -0.0323 |
| Historical ES (95%) | -0.0469 |
| Modified VaR (95%) | -0.0314 |
| Modified ES (95%) | -0.0471 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2001-08-03 | 2008-11-20 | 2014-03-20 | -0.7050 | 3175 | 1836 | 1339 |
| 2020-02-20 | 2020-03-20 | 2020-06-05 | -0.3425 | 75 | 22 | 53 |
| 2018-03-13 | 2018-12-24 | 2019-04-03 | -0.2614 | 267 | 199 | 68 |
| 2015-06-02 | 2016-02-11 | 2016-07-26 | -0.2506 | 291 | 177 | 114 |
| 2019-04-25 | 2019-05-31 | 2019-07-24 | -0.1816 | 63 | 26 | 37 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | NA | NA | NA | NA | NA | NA | 5.2 | 0.5 | -3.3 | 6.1 | -1.3 | -2.4 | 4.5 |
| 2002 | -1 | 9.3 | 2.5 | 0.4 | -0.2 | -4.5 | -5.5 | -1.1 | 5.7 | 4.9 | -2.5 | -0.3 | 6.8 |
| 2003 | -0.7 | 3.1 | 0.6 | -0.1 | 1.4 | 1.9 | 1.2 | 0.6 | 1.5 | -1.1 | 1 | -0.4 | 9.3 |
| 2004 | 0.7 | 1.7 | 2 | -1.7 | -0.9 | -3.7 | 1.2 | 1.3 | 4.7 | 0.4 | 4.2 | 0.1 | 10.2 |
| 2005 | 1.2 | 2.2 | -1.3 | 1.1 | 0.7 | 0.3 | 0.2 | -1 | 1.5 | -1.1 | 3.4 | -0.7 | 6.7 |
| 2006 | 1 | 3.9 | -0.6 | -0.9 | 2.3 | 0 | -2.1 | -0.9 | -1 | -1.8 | -1.4 | -0.6 | -2.2 |
| 2007 | 0.8 | -0.7 | 0.3 | 0.3 | 0.9 | -0.8 | 0.5 | 1.9 | 2.1 | -1.7 | -1.4 | -0.9 | 1.3 |
| 2008 | 5.3 | -2.9 | 4.2 | 3.7 | 1.5 | -0.4 | -0.9 | -2.2 | -0.5 | 1.3 | -7.6 | 0.9 | 1.8 |
| 2009 | -2 | -0.5 | 1.7 | 0.3 | 5.3 | 1.6 | 0.7 | -2.6 | -4.8 | -3.3 | 3.2 | -0.6 | -1.5 |
| 2010 | 3.4 | 2.4 | 0 | -4.3 | -2.1 | -0.2 | -1.1 | 2.9 | -0.1 | -0.3 | 3 | 0 | 3.2 |
| 2011 | 2.5 | -1.9 | -1.1 | 0.3 | -2.9 | 2.1 | -0.1 | -1.6 | -3.4 | -3.2 | 0.7 | -0.4 | -8.9 |
| 2012 | 2.2 | 0.1 | 0.4 | 0.3 | -4.3 | 4.3 | 0 | 1.2 | -0.4 | 3.1 | -0.1 | 1.7 | 8.7 |
| 2013 | 1.9 | -0.4 | -2 | -0.8 | -1.3 | -0.1 | 1.7 | -0.9 | 1 | -0.4 | 0.2 | 0.9 | -0.3 |
| 2014 | -0.5 | -0.1 | 1.6 | -0.3 | 0.1 | 1.4 | 0.3 | 0.8 | -2.4 | 3.9 | -1.3 | -0.5 | 2.9 |
| 2015 | -2 | -0.3 | -0.6 | 2.8 | 0.1 | 0.2 | -1.2 | -3.5 | -1.2 | 0.8 | 1.6 | -1.4 | -4.8 |
| 2016 | 0.4 | 2.7 | 0.7 | -2.6 | 0.5 | -0.8 | 0.1 | 0.8 | 1.6 | -0.9 | -4.9 | -1.5 | -4.1 |
| 2017 | 1.6 | 1.6 | 0 | 1 | 0.1 | -0.5 | 0.6 | 0.4 | 0.9 | -0.4 | -1.1 | -1 | 3.1 |
| 2018 | -0.5 | -1.6 | 2.2 | 1.6 | 2.3 | 0.2 | -0.1 | 0.5 | 0.3 | 4.7 | 1.4 | 0.7 | 12.3 |
| 2019 | 1.2 | 0.9 | 2.5 | -0.8 | -1.5 | 2.5 | -2 | 0.5 | -0.9 | 2.3 | -1.1 | 0.3 | 3.8 |
| 2020 | -3.6 | 2.3 | -5.5 | -4.9 | -0.5 | -1.3 | -0.4 | 2 | 2.1 | -1.3 | 1.7 | 0.3 | -9.1 |
| 2021 | 3.9 | 3.2 | 1.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 8.6 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2001-07-13 72.6 SPY 122. 0.0087 0.0268 -0.0205 0.0285 -0.184 NA NA <NA> NA NA NA
2 2001-07-16 68.4 SPY 121. -0.0125 0.0084 -0.0106 0.0264 -0.202 NA NA <NA> NA NA NA
3 2001-07-17 71.2 SPY 122. 0.0094 0.0303 -0.0001 0.0216 -0.193 NA NA <NA> NA NA NA
4 2001-07-18 68.3 SPY 121. -0.0068 0.0222 -0.0021 -0.0241 -0.192 NA NA <NA> NA NA NA
5 2001-07-19 71.2 SPY 122. 0.0088 0.0073 0.0023 -0.0285 -0.179 NA NA <NA> NA NA NA
6 2001-07-20 70.8 SPY 121. -0.006 -0.0074 -0.0089 -0.0254 -0.194 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>